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程冠林 · 2023年01月12日

spread的变化可以通过bond price的角度理解吗？

  1. CFA III
  2. Fixed Income

* 问题详情，请 查看题干

NO.PZ202112010200002402

问题如下：

Once the manager purchases CDS protection, the issuer’s CDS spread immediately falls to 1.60%. What is the investor’s approximate mark-to-market gain or loss for a contract notional of €10,000,000?

选项：

A.

The manager realizes an approximate loss of €131,250.

B.

The manager realizes an approximate gain of €131,250.

C.

The manager realizes an approximate gain of €525,000.

解释：

A is correct. The CDS spread decline of 0.15% leads to a new CDS contract price of 94.75 per 100 face value (=1 – (EffSpreadDurCDS × ∆Spread) or (8.75 × 0.60%)).

The protection buyer (short risk) position therefore realizes an approximate mark-to-market loss of €131,250 (=(94.75 – 93.4375)/100 × €10,000,000) because of the 0.15% decline in CDS spreads.

如果可以，请老师解释一下

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已采纳答案

pzqa015 · 2023年01月13日

嗨，从没放弃的小努力你好：


可以，这个何老师课上讲过。

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努力的时光都是限量版，加油！

程冠林 · 2023年02月17日

老师我弄清楚了，结果为正数是loss

pzqa015 · 2023年02月19日

嗨，努力学习的PZer你好：


加油

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加油吧，让我们一起遇见更好的自己！

pzqa015 · 2023年02月18日

嗨，爱思考的PZer你好：


这里不用看符号，对于CDS buyer来说，买入后如果spread变大，那么是gain，如果spread变小，那么是loss；对于CDS seller来说，买入后如果spread变大，那么是loss，如果spread变小，那么是gain。

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加油吧，让我们一起遇见更好的自己！

程冠林 · 2023年02月18日

谢谢~老师的方法比我的分析更快些！

pzqa015 · 2023年01月12日

嗨，从没放弃的小努力你好：


没明白你的意思，能详细说下吗？

CDS price=(1+（fixed coupon-spread）*ED)*NP

那么有期初P0与期末P1两个CDS price。

如果spread变化，有两种解法：

一是计算期初P0与P1，然后用P1-P0

P0=(1+（fixed coupon-spread0）*ED)*NP

P1=(1+（fixed coupon-spread1）*ED)*NP

如果spread下降，对于Buyer来说是不好的，有loss，具体的loss值就是P1-P0。

二是把CDS price公式带入到P1-P0中，

也就是NP+fixed coupon*ED*NP-spread1*ED*NP-NP-fixed coupon*ED*NP+spread0*ED*NP=-（spread1-spread0）*ED*NP。


两种方法都可以计算出损失值。

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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